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Details about Helena Veiga

E-mail:
Homepage:http://www.est.uc3m.es/mhveiga
Phone:+34916248902
Postal address:Department of Statistics Universidad Carlos III de Madrid C/ Madrid 126 28903 Getafe (Madrid) Spain
Workplace:Departamento de Estadistica (Department of Statistics), Universidad Carlos III de Madrid (Carlos III University of Madrid), (more information at EDIRC)

Access statistics for papers by Helena Veiga.

Last updated 2019-09-18. Update your information in the RePEc Author Service.

Short-id: pve141


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Working Papers

2019

  1. Data cloning estimation for asymmetric stochastic volatility models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  2. Exploring option pricing and hedging via volatility asymmetry
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads

2018

  1. Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2017

  1. A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities
    Working Papers, University of California at Riverside, Department of Economics Downloads
  2. Modeling and forecasting the oil volatility index
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads

2016

  1. A Bootstrap Approach for Generalized Autocontour Testing
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  2. Efficiency evaluation of Spanish hotel chains
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads

2015

  1. An analysis of the dynamics of efficiency of mutual funds
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  2. Model uncertainty and the forecast accuracy of ARMA models: A survey
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads

2014

  1. Outliers in multivariate Garch models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)
  2. Score driven asymmetric stochastic volatility models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads

2013

  1. Bayesian analysis of dynamic effects in inefficiency: evidence from the Colombian banking sector
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)
  2. Correlations between oil and stock markets: a wavelet-based approach
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (4)
    See also Journal Article in Economic Modelling (2015)
  3. One for all: nesting asymmetric stochastic volatility models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)
  4. Predictability of stock market activity using Google search queries
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (4)

2012

  1. Asymmetric long-run effects in the oil industry
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  2. Bayesian Estimation of Inefficiency Heterogeneity in Stochastic Frontier Models
    Efficiency Series Papers, University of Oviedo, Department of Economics, Oviedo Efficiency Group (OEG) Downloads View citations (1)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2012) Downloads View citations (3)

    See also Journal Article in Journal of Productivity Analysis (2014)

2011

  1. Forecasting volatility: does continuous time do better than discrete time?
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads

2010

  1. Asymmetric effects of oil price fluctuations in international stock markets
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  2. Outliers in Garch models and the estimation of risk measures
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads

2009

  1. Risk factors in oil and gas industry returns: international evidence
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)
    See also Journal Article in Energy Economics (2011)
  2. Wavelet-based detection of outliers in volatility models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (3)

2008

  1. Aggregation and Dissemination of Information in Experimental Asset Markets in the Presence of a Manipulator
    Working Papers, FEDEA Downloads
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2008) Downloads
  2. The Effect of Short–Selling on the Aggregation of Information in an Experimental Asset Market
    Working Papers, FEDEA Downloads View citations (1)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2008) Downloads View citations (1)

2007

  1. The effect of realised volatility on stock returns risk estimates
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (2)
  2. The sign of asymmetry and the Taylor Effect in stochastic volatility models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  3. Volatility modelling and accurate minimun capital risk requirements: a comparison among several approaches
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)

2006

  1. A two factor long memory stochastic volatility model
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)
  2. Are feedback factors important in modelling financial data?
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  3. Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (6)
    See also Journal Article in Computational Statistics & Data Analysis (2008)
  4. Price Manipulation in an Experimental Asset Market
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (3)
    See also Journal Article in European Economic Review (2009)
  5. Volatility forecasts: a continuous time model versus discrete time models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads

2005

  1. Parametric and semiparametric estimation of sample selection models: an empirical application to the female labour force in Portugal
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) Downloads View citations (1)

2003

  1. Are One Factor Logarithmic Volatility Models Useful to Fit the Features of Financial Data? An Application to Microsoft Data
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) Downloads
  2. Forecasting Volatility Using A Continuous Time Model
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) Downloads

Journal Articles

2019

  1. Efficiency evaluation of hotel chains: a Spanish case study
    SERIEs: Journal of the Spanish Economic Association, 2019, 10, (2), 115-139 Downloads

2018

  1. UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES
    Journal of Economic Surveys, 2018, 32, (2), 388-419 Downloads

2017

  1. Threshold stochastic volatility: Properties and forecasting
    International Journal of Forecasting, 2017, 33, (4), 1105-1123 Downloads View citations (1)

2015

  1. Correlations between oil and stock markets: A wavelet-based approach
    Economic Modelling, 2015, 50, (C), 212-227 Downloads View citations (26)
    See also Working Paper (2013)
  2. Dynamic effects in inefficiency: Evidence from the Colombian banking sector
    European Journal of Operational Research, 2015, 240, (2), 562-571 Downloads View citations (19)

2014

  1. Bayesian estimation of inefficiency heterogeneity in stochastic frontier models
    Journal of Productivity Analysis, 2014, 42, (1), 85-101 Downloads View citations (11)
    See also Working Paper (2012)

2013

  1. Oil price asymmetric effects: Answering the puzzle in international stock markets
    Energy Economics, 2013, 38, (C), 136-145 Downloads View citations (21)

2012

  1. Asymmetry, realised volatility and stock return risk estimates
    Portuguese Economic Journal, 2012, 11, (2), 147-164 Downloads View citations (1)

2011

  1. Risk factors in oil and gas industry returns: International evidence
    Energy Economics, 2011, 33, (3), 525-542 Downloads View citations (42)
    See also Working Paper (2009)

2010

  1. Information aggregation in experimental asset markets in the presence of a manipulator
    Experimental Economics, 2010, 13, (4), 379-398 Downloads View citations (11)
  2. Wavelet-based detection of outliers in financial time series
    Computational Statistics & Data Analysis, 2010, 54, (11), 2580-2593 Downloads View citations (8)

2009

  1. A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect
    Computational Statistics & Data Analysis, 2009, 53, (10), 3593-3600 Downloads View citations (6)
  2. Financial Stylized Facts and the Taylor-Effect in Stochastic Volatility Models
    Economics Bulletin, 2009, 29, (1), 265-276 Downloads View citations (4)
  3. Price manipulation in an experimental asset market
    European Economic Review, 2009, 53, (3), 327-342 Downloads View citations (5)
    See also Working Paper (2006)

2008

  1. Accurate minimum capital risk requirements: A comparison of several approaches
    Journal of Banking & Finance, 2008, 32, (11), 2482-2492 Downloads View citations (8)
  2. Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
    Computational Statistics & Data Analysis, 2008, 52, (6), 2846-2862 Downloads View citations (26)
    See also Working Paper (2006)
 
Page updated 2019-09-19